FPGA Acceleration of Monte Carlo-based Financial Simulation: Design Challenges and Lessons Learnt

Echeverría Aramendi, Pedro and López Vallejo, Marisa (2011). FPGA Acceleration of Monte Carlo-based Financial Simulation: Design Challenges and Lessons Learnt. In: "W2 Workshop on Design Methods and Tools for FPGA-Based Acceleration of Scientific Computing.", 15/03/2011 - 18/03/2011, Grenoble, Francia. p. 21.

Description

Title: FPGA Acceleration of Monte Carlo-based Financial Simulation: Design Challenges and Lessons Learnt
Author/s:
  • Echeverría Aramendi, Pedro
  • López Vallejo, Marisa
Item Type: Presentation at Congress or Conference (Poster)
Event Title: W2 Workshop on Design Methods and Tools for FPGA-Based Acceleration of Scientific Computing.
Event Dates: 15/03/2011 - 18/03/2011
Event Location: Grenoble, Francia
Title of Book: Proceedings of W2 Workshop on Design Methods and Tools for FPGA-Based Acceleration of Scientific Computing.
Date: 2011
Subjects:
Faculty: E.T.S.I. Telecomunicación (UPM)
Department: Ingeniería Electrónica
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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Abstract

The simulation of interest rate derivatives is a powerful tool to face the current market fluctuations. However, the complexity of the financial models and the way they are processed require exorbitant computation times, what is in clear conflict with the need of a processing time as short as possible to operate in the financial market. To shorten the computation time of financial derivatives the use of hardware accelerators becomes a must.

More information

Item ID: 13388
DC Identifier: http://oa.upm.es/13388/
OAI Identifier: oai:oa.upm.es:13388
Official URL: http://www.date-conference.com/conference/workshop-w2
Deposited by: Memoria Investigacion
Deposited on: 27 Nov 2012 09:56
Last Modified: 21 Apr 2016 12:42
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